I haven't done this, as I don't carry pepper spray, yet. But, I sometimes carry other stuff right up underneath the bottom hem of my shorts on one leg or the other. For instance, in the gym, I'll tuck my ipod nano up under the bottom of a shorts leg, and it works great. Stays in place through biking, elliptical training, ab work on the floor, etc.

Might be a way to have quick access.